Flirting with Models-logo

Flirting with Models

Markets and Investing

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies. Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures. Episodes released in topic-specific seasons. For more on Newfound Research, visit ThinkNewfound.com. And to learn about Newfound’s suite of mutual funds and other investment offerings, please visit ThinkNewfoundFunds.com.

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies. Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures. Episodes released in topic-specific seasons. For more on Newfound Research, visit ThinkNewfound.com. And to learn about Newfound’s suite of mutual funds and other investment offerings, please visit ThinkNewfoundFunds.com.

Location:

United States

Description:

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies. Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures. Episodes released in topic-specific seasons. For more on Newfound Research, visit ThinkNewfound.com. And to learn about Newfound’s suite of mutual funds and other investment offerings, please visit ThinkNewfoundFunds.com.

Twitter:

@choffstein

Language:

English

Contact:

6175319773


Episodes

Liquidity Cascades

9/20/2020
In this episode I am going to read Newfound’s latest research paper, LIQUIDITY CASCADES: The Coordinated Risk of Uncoordinated Market Participants. This reading will refer to a number of figures within the paper, so I urge you to go to our website, thinknewfound.com, and download the PDF so you get better follow along. This paper is unlike any research we've shared in the past. Within we dive into the circumstantial evidence surrounding the "weird" behavior many investors believe markets...

Duration:01:05:00

Kris Sidial - Long Volatility for the New Regime (S3E14)

9/7/2020
My guest this episode is Kris Sidial, co-CIO of The Ambrus Group, a volatility arbitrage focused firm founded in 2018. Kris recently joined Ambrus after spending several years on BMO’s exotic and listed options desks. While time on these desks gave Kris the experience of managing a large derivatives book, what convinced him to take the leap to a new firm was growing confidence in a thesis that market micro-structure had undergone a regime shift. And in Kris’s view, this regime shift...

Duration:01:13:57

Cliff Asness - "...But Not So Open Your Mind Falls Out" (S3E13)

7/29/2020
“Keep an open mind. But not so open your mind falls out.” My guest in this episode needs little introduction: Cliff Asness, co-founder and managing partner at AQR. Cliff has done dozens of interviews, podcasts, talks, and fireside chats over the years. He is also a prolific writer. So, my goal in this conversation was to try to find the questions he hadn’t been asked before or had not answered himself already. How did his formative experiences in the dotcom bubble shape his perception of...

Duration:01:00:17

Euan Sinclair - Positional Option Trading (S3E12)

7/27/2020
Today I chat with Euan Sinclair, Partner at Talton Capital Management and author of the books Options Trading, Volatility Trading, and the up-coming Positional Option Trading. We begin our discussion with Euan’s experience as a market maker as I try to get a better understanding of what a market making operation really looks like from the inside and how it has changed over the last 15 years. Of particular interest to me, given how much market makers have been villianized in recent years,...

Duration:01:01:03

Omer Cedar - Quant-Aware Discretionary (S3E11)

7/24/2020
Today I am speaking with Omer Cedar, CEO and co-founder of OmegaPoint. One of the significant trends in quant equity over the last decade has been the attempt to better control for unintended bets and idiosyncratic risks. At OmegaPoint, Omer comes at the problem from the opposite direction: helping fundamental managers better focus on their idiosyncratic risk and recognize the factor risks they may be unintentionally taking. We discuss how quantitative investors have impacted markets, how...

Duration:00:43:08

Sandrine Ungari - Alternative Risk Premia (S3E10)

7/22/2020
My guest in this episode is Sandrine Ungari, Head of Cross-Asset Quantitative Research at SocGen. Sandrine cut her teeth in the industry as a fixed-income pricing quant, but made her way over to sell-side, investment quant research in 2006. Her early research focused on credit and macro, but since 2012 has been heavily focused on equity and alternative risk premia. Our conversation begins with equity factors and Sandrine provides insight both into how factor construction has evolved over...

Duration:00:59:27

Michael Hunstad - Institutional Trends in Factor Investing (S3E9)

7/20/2020
In this episode I speak with Dr. Michael Hunstad, Head of Quantitative Strategies at Northern Trust. Our conversation centers around the four key trends Michael is seeing among institutional allocators in the factor space today. These trends are (1) the adoption of factors to manage concentration risk in market-cap weighted benchmarks, (2) a move from single- to multi-factor implementations, (3) using factors to de-risk equity exposure, and (4) a tactical tilt towards value. But Michael...

Duration:01:02:13

Mads Ingwar and Martin Oberhuber - Full Stack Machine Learning (S3E8)

7/17/2020
In this episode I chat with Mads Ingwar and Martin Oberhuber, co-founders of Kvasir Technologies, a systematic hedge fund powered by a full-stack application of machine learning. By full-stack I mean every layer of the process, including data ingestion, signal generation, portfolio construction, and execution, which gives us a lot to talk about. Our conversation covers topics ranging from the limitations of machine learning and hard lessons learned to how to keep up in a rapidly evolving...

Duration:00:55:18

Eric Crittenden - All-Weather Portfolios with Trend Following (S3E7)

7/15/2020
My guest is Eric Crittenden, founder and Chief Investment Officer of Standpoint Funds. Eric has spent his career with trend following strategies, first at BlackStar where he managed a fund-of-funds, then at Longboard, and now at Standpoint Funds. This background makes him not only a fountain of knowledge on trend following theory, but also the operational logistics and practical considerations. In this episode our conversation ranges from the source of the trend-following premium to novel...

Duration:01:04:07

Jeffrey Baird - Commodity Convexity (S3E6)

7/13/2020
In this episode I speak with Jeffrey Baird, managing partner at Merritt Point Partners. Merritt Point Partners seeks to build diversified portfolios of convexity exposure through the commodities market. With that in mind, we talk about what makes the commodities market unique, who the players are, and the types of trades that Jeff looks for. Stepping somewhat outside of the theme for this podcast, Jeff actually employs a heavily fundamentals-driven process. But what fundamental means in...

Duration:01:00:15

Dr. Ernest Chan - Tail Reaper (S3E5)

7/10/2020
My guest in this episode is Dr. Ernest Chan, founder of QTS Capital Management. Investor, researcher, and educator, Ernie is well-known for his blog – which he has been publishing since 2006 – as well as the several books he has authored, including Quantitative Trading, Algorithmic Trading, and Machine Trading. Our conversation meets at the intersection of tail risk hedging and machine learning. Ernie has a long history with machine learning, having first applied it on Wall Street in the...

Duration:00:49:08

Jim Masturzo - Tactical Asset Allocation (S3E4)

7/8/2020
In this episode I speak with Jim Masturzo, Head of Asset Allocation at Research Affiliates. In his role, Jim oversees the research and publication of the firm’s capital market assumptions as well as the implementation of those views into a suite of tactical portfolios. We begin our conversation discussing the foundational assumptions behind the capital market assumptions. Like most firms, Research Affiliates takes a long-term view on return and risk. In line with the firm’s guiding...

Duration:00:54:22

Dr. Benn Eifert - Bad Ideas (S3E3)

7/6/2020
Today I am speaking with Benn Eifert, founder and CIO of QVR Advisors. Benn is my first repeat guest on the podcast, making his first appearance in Season 2. When I asked listeners who they wanted on for Season 3, he was high on the list. In this episode, we take things in a bit of a different direction. Rather than a normal interview, I use this opportunity to ask Benn about his opinion on a number of different trade ideas, from covered calls to shorting VIX ETPs. Benn walks me through...

Duration:00:54:24

Michael Krause - Evolving Long/Short Equity (S3E2)

7/3/2020
In this episode I am joined by Michael Krause, co-founder of Counterpoint Asset Management and Counterpoint Mutual Funds. Our conversation covers two major topics. In the first half, we discuss some of the nuances of high yield bond timing and the subtleties of strategy construction. In the second half, we discuss long/short equity strategies. For listeners more interested in the technical, this is where the meat and potatoes of the conversation lies. We discuss Michael’s evolution from...

Duration:01:08:17

K.C. Hamann - Quantifying Conviction (S3E1)

7/1/2020
My guest today is K.C. Hamann, founder of AQIS LLC. K.C. is a Warren Buffett disciple and spent his first decade in the industry working as an analyst at discretionary, deep value long/short equity hedge funds. Which probably makes him sound like an odd guest for a podcast all about quantitative investing. K.C.’s experiences, however, lead him to identify a number of biases that he believes pollute the stock picking skills of discretionary analysts. And thinking of a hedge fund as a system...

Duration:01:10:28

Corey Hoffstein - Rebalance Timing Luck (S2E11)

12/8/2019
My guest today is … me. But rather than interview myself, my co-portfolio manager Nathan Faber joins the podcast to take the reigns. In this episode, we talk all things rebalance timing luck. It’s been an obsession of mine for years and something we believe to be a dramatically misunderstood and outright ignored source of risk in portfolios. We discuss how we first came across the topic, some recent research into it, important implications for the industry at large, and how we can try to...

Duration:00:47:35

Daniel Grioli - Thinking like a Fox (S2E1)

6/23/2019
My guest in this episode is Daniel Grioli. Daniel cut his teeth in the industry at Deutsche Bank in London, where he was responsible for valuing structured equity and hedge fund of fund products targeted at continental Europe. His timing of joining Deutsche, while perhaps somewhat unfortunate for him, proves fortunate for us as he retells a few war stories and lessons learned from the desk leading into 2008. During the crisis, Daniel found himself back in Australia working for a pension...

Duration:01:29:49

Katherine Glass-Hardenbergh - All About Alternative Data (S2E9)

6/20/2019
In this episode I am joined by Katherine Glass-Hardenbergh, Associate Portfolio Manager at Acadian Asset Management. In her role, Katherine focuses heavily on the application of alternative data in Acadian’s fundamentally-driven, systematic investment process. Purported as being one of the leading frontiers of quant finance, there is plenty of hype around alternative data. Katherine brings refreshing transparency to our conversation, speaking just as candidly about the hurdles in...

Duration:00:49:46

Chris Meredith – Building a Robust Research Platform (S2E10)

6/20/2019
Chris Meredith is co-Chief Investment Officer and Director of Research at O’Shaughnessy Asset Management. In this episode, we focus on the latter title and talk all about what it means to develop a strong research program. Our conversation centers around what Chris considers to be the three key pillars: data, tools, and people. Chris provides insight into how data sets have changed since the beginning of his career, starting with highly structured price and fundamental data to so-called...

Duration:01:04:27

Liqian Ren - In Search of Modern Alpha (S2E8)

6/17/2019
In this episode I am joined by Liqian Ren, Director of Modern Alpha at WisdomTree. After receiving her degree in Computer Science, Liqian came to the United States to pursue her Masters in Economics. Liqian then did a quick stint at the Federal Bank of Chicago as an associate economist, before returning back to academia to pursue her PhD at the University of Chicago. In 2007, Liqian joined Vanguard’s Investment Strategy Group, where she leveraged her background to perform economic and...

Duration:01:08:46